The main goal of this study was to analyze the soybean price transmission
between different cities of MatoGrosso – MT, Brazil, considering the existence of
transaction costs. This state was chosen due to its high production and soybeans
processing capacity. In order to capture the transaction costs presence over the soybean
spot price transmission in MatoGrosso, three regimes threshold models were estimated.
The models Self Exciting Threshold Auto-Regressive (SETAR), described in Tong and
Lim (1980), provided results with the three regimes that corroborate to the existence of
a ‘neutral band’. Besides, the threshold parameters estimated appears to be significantly
positively correlated with the transportation costs, which can be so much important to
take decisions about price arbitrages. Furthermore, the obtained results estimated with
the TVEC model do not indicate the existence of a neutral band. However, in most
cases, price variations take more time to be transmitted in the intermediary regime,
which indicates that TVEC model also captured the existence of transaction costs.